CCI Options History — July 2015

In July 2015, CCI traded between $80.58 and $83.21. ATM implied volatility averaged 16.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 12.9%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-07-20: Highest Volume — 5,445 contracts
  • 2015-07-15: Largest IV spike — 33.3% change
  • 2015-07-08: Highest IV Rank — 35.2%
  • 2015-07-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.50$80.58$83.21$81.00$81.87
Max Pain$80.23$80.00$82.50$82.50$80.00
ATM IV16.4%13.7%19.5%16.1%14.9%
Expected Move4.8%4.2%5.6%4.6%4.3%
HV 20d12.9%9.6%17.1%12.6%16.5%
HV 60d13.2%12.4%14.5%12.4%13.7%
IV Rank17.5%2.2%35.2%16.2%9.4%
IV Percentile33.0%0.8%73.0%29.0%9.5%
Term Structure0.4%-1.1%2.4%2.4%1.3%
VWIV17.0%14.8%19.5%16.4%15.0%
Skew 25d1.7%0.9%2.3%1.3%0.9%
Skew 10d3.8%1.1%6.1%3.8%5.4%
Call IV 25d16.5%14.5%18.7%16.2%14.7%
Put IV 25d18.2%15.6%20.8%17.5%15.6%
Bid-Ask Spread %83.2076.1790.6086.4690.60
Gamma HHI0.350.270.550.330.34
Net GEX5.6M3.1M9.2M4.5M7.0M
Net DEX-16.9M-43.8M-5.2M-9.8M-24.2M
Net VEX-285.0K-325.0K-257.2K-296.3K-283.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.161.580.280.86
Total Volume1,757.3641,1085,4452,8481,299
Total OI30,322.18222,49534,15432,21328,363

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$81.00$82.5016.1%4.6%12.6%16.2%16.4%1.3%2.4%4.5M-9.8M-296.3K0.2886.462,22162723,6578,556
2015-07-02$81.13$82.5016.5%4.7%10.0%18.1%16.3%1.4%2.0%4.8M-12.0M-296.7K1.3784.9946864023,6948,568
2015-07-06$80.78$80.0017.3%5.5%9.6%23.2%19.2%2.1%-0.8%4.2M-6.8M-280.3K1.5876.6045371423,7148,628
2015-07-07$81.68$80.0016.2%5.2%10.5%16.4%19.0%1.9%-0.7%5.7M-17.9M-296.1K1.5476.1751579323,7178,739
2015-07-08$80.61$80.0019.5%5.6%11.0%35.2%19.5%2.1%-1.1%4.0M-5.6M-281.0K1.1279.6373682223,6998,953
2015-07-09$80.58$80.0017.7%5.4%10.9%25.0%19.1%2.3%-0.8%3.9M-5.2M-278.5K0.9776.4463962323,7348,992
2015-07-10$81.40$80.0015.8%5.1%11.0%14.2%18.4%2.0%-0.4%5.4M-12.0M-284.0K0.6580.5194561423,7909,038
2015-07-13$80.94$80.0018.0%5.2%11.1%26.7%18.7%1.3%-0.5%4.3M-6.4M-267.2K0.9779.1763862124,0229,068
2015-07-14$81.50$80.0013.7%4.9%11.5%2.2%17.9%1.7%-0.3%6.6M-12.3M-268.7K0.6878.9488960824,0859,036
2015-07-15$81.22$80.0018.2%5.2%11.4%28.2%18.8%1.7%-0.7%5.3M-7.8M-262.7K1.0782.4156660823,9339,040
2015-07-16$81.68$80.0016.1%4.6%11.6%16.3%16.1%1.6%0.0%9.2M-15.4M-261.6K0.4885.451,76484623,9199,048
2015-07-17$81.12$80.0016.8%4.8%11.0%19.9%16.3%1.7%0.1%3.1M-6.4M-257.2K1.1386.9479189224,8899,265
2015-07-20$81.96$80.0016.3%4.7%11.4%17.1%16.1%2.2%0.4%3.6M-13.6M-262.9K0.1685.374,69974614,7017,794
2015-07-21$80.83$80.0017.5%5.0%12.3%24.2%17.3%1.3%0.4%4.5M-11.4M-276.9K0.5283.611,17361318,1038,026
2015-07-22$80.60$80.0018.0%5.2%12.3%27.0%17.7%2.1%0.2%5.0M-13.1M-289.2K0.9979.7965565119,5108,062
2015-07-23$83.21$80.0014.9%4.3%16.9%9.4%14.8%1.5%1.1%7.1M-43.8M-325.0K0.6483.511,16274219,6118,185
2015-07-24$82.49$80.0015.6%4.5%17.1%13.1%15.7%1.5%0.9%6.9M-36.2M-319.8K0.7687.9291869519,9928,248
2015-07-27$82.55$80.0015.8%4.5%16.9%14.3%16.0%1.4%0.8%7.0M-35.4M-308.7K0.7386.3596870819,8128,210
2015-07-28$82.23$80.0015.2%4.4%16.4%11.0%15.4%1.6%1.4%7.0M-30.9M-298.9K1.2085.8078894819,8088,203
2015-07-29$82.08$80.0014.7%4.2%16.4%8.2%15.0%1.1%1.4%7.1M-28.2M-295.1K0.8487.6874362619,9538,462
2015-07-30$81.53$80.0015.0%4.3%16.5%9.8%15.1%1.9%1.6%6.3M-17.3M-279.7K0.8186.0682467119,7858,476
2015-07-31$81.87$80.0014.9%4.3%16.5%9.4%15.0%0.9%1.3%7.0M-24.2M-283.9K0.8690.6069760219,9408,423